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Universal Time-Series Forecasting with Mixture Predictors

  • Book
  • © 2020

Overview

Authors:
  1. Daniil Ryabko

    1. Fishlife Research S.A., Belize City, Belize

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  • Considers problem of sequential probability forecasting in the most general setting
  • Results presented concern the foundations of problems in areas such as machine learning, information theory and data compression
  • Material presented in a way that assumes familiarity with basic concepts of probability and statistics

Part of the book series: SpringerBriefs in Computer Science (BRIEFSCOMPUTER)

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Table of contents (8 chapters)

  1. Front Matter

    Pages i-viii
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  2. Introduction

    • Daniil Ryabko
    Pages 1-10

  3. Notation and Definitions

    • Daniil Ryabko
    Pages 11-16

  4. Prediction in Total Variation: Characterizations

    • Daniil Ryabko
    Pages 17-22

  5. Prediction in KL Divergence

    • Daniil Ryabko
    Pages 23-51

  6. Decision-Theoretic Interpretations

    • Daniil Ryabko
    Pages 53-56

  7. Middle-Case: Combining Predictors Whose Loss Vanishes

    • Daniil Ryabko
    Pages 57-65

  8. Conditions Under Which One Measure Is a Predictor for Another

    • Daniil Ryabko
    Pages 67-76

  9. Conclusion and Outlook

    • Daniil Ryabko
    Pages 77-82

  10. Back Matter

    Pages 83-85
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Keywords

About this book

The author considers the problem of sequential probability forecasting in the most general setting, where the observed data may exhibit an arbitrary form of stochastic dependence. All the results presented are theoretical, but they concern the foundations of some problems in such applied areas as machine learning, information theory and data compression.

Reviews

“It is a very useful book for graduate students and researchers who are interested in the problem of sequential prediction.” (Lei Jin, Mathematical Reviews, November, 2022)

“The author lists some open problems in extending the subject matter discussed in the book. … The book … should be of interest for those researchers interested in the study of problems of sequential prediction.” (B. L. S. Prakasa Rao, zbMATH 1479.62002, 2022)

Authors and Affiliations

  • Fishlife Research S.A., Belize City, Belize

    Daniil Ryabko

About the author

Dr. Daniil Ryabko (HDR) has a full-time position at INRIA, he has recently been on research assignments in Belize and Madagascar.

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